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I haven't done this, but my understanding is that IBM Cognos is mostly a native application that's wrapped by a Java application server.
The application server receives HTTP requests and calls the native application to execute most of the business logic.
If I'm right about that, then you should see the requests entering the Java process as HTTP requests with the default configuration.
If you inspect the snapshots for these requests, I suspect you will see "bottlenecks" in the Java method(s) that calls the native Cognos application.
You would configure those calls as custom Exit Points: https://docs.appdynamics.com/display/PRO42/Configure+Custom+Exit+Points
You will then see the timing of the native calls.
You can't do much more that without access to build the native source code with the AppDynamics C/C++ agent API.
Brian Wheeldon, Solution Engineer, NYC